| Name | [GLD-Short-Put] / GLD-PutWrite |
| Period | 2020-01-02 - 2025-06-18 |
| Version | MesoSim-2.13.4-0-g4ac54f3d |
| Symbol | GLD |
| Cash | $100000 |
| Structure | Short Put |
| Max number of positions in flight | 10 |
| Expirations | 1 |
| Legs | 1 |
| Metric | Strategy | GLD |
|---|---|---|
| Trade Count | 646 | 1 |
| Win/Loss rate | 564 / 82 = 6.88 | |
| Adjustments | 0 | |
| PT Hits | 0 | |
| SL Hits | 0 | |
| Max DIT Reaches | 374 | |
| Settlements | 227 | |
| Avg Days in Trade | 14.25 | 1994 |
| Cumulative Return | 46.4% | 115.55% |
| CAGR | 7.23% | 15.09% |
| Max Drawdown | -8.1% | -21.83% |
| Sharpe | 1.06 | 0.97 |
| Alpha | 0.02 | - |
| Beta | 0.32 | - |
| Kelly Criterion | 20.89 | -3.53 |
| Profit Factor | 1.27 | 1.18 |
| Probabilistic Sharpe | 99.17% | 98.8% |
| Smart Sharpe | 0.97 | 0.89 |
| Annual Volatility | 6.84% | 15.79% |
| Omega | 1.27 | - |
| Information ratio | -0.04 | - |
| Avg Drawdown | -0.62% | -2.56% |
| Avg Drawdown Days | 10 | 41 |
| Avg Up Month | 1.3000 | 4.0600 |
| Avg Down Month | -1.94% | -3.69% |
| R^2 | 0.56 | 0.56 |
| Calmar | 0.89 | 0.69 |
| Treynor | 143.03 | - |